there are two distinct ways of "creating" a mysql database or rather two platforms.
first if it's your live web server your ISP will have to create an empty database/scema, they will then give you the following.
connection hostname or IP normaly its an ip address
Once you have this upload your PS3 files preserving the file structure to your webserver and then type www.yourdomain.com
The install sequence will then start and walk you through.
Second if you are installing on a local system for testing purposes then you will need to install mysql,pphp and apache.
The easiest way in windows is to google WAMP, download that and install.
That sets everything up.
As part of the install you will see a program called phpmyadmin. You use this to create your own database/schema.
Your host will be localhost, username and password as you select. I think the norm is root and no password.
You then need to set DW up to use this as a testing server. If you get stuck on this post back.
Now when in DW you press the globe to preview your site it will use the local test server and load up index.php.
The first time you do it your setup sequence will run.